Gaussian and Hermite Ornstein-Uhlenbeck processes
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In the present paper we study the asymptotic behavior of the auto-covariance function for Ornstein-Uhlenbeck (OU) processes driven by Gaussian noises with stationary and non-stationary increments and for Hermite OU processes. Our results are generalizations of the corresponding results of Cheridito et al. <cit.> and Kaarakka and Salminen <cit.>.
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